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Extração da Volatilidade do Ibovespa
[Estimating Ibovespa's Volatility]

Listed author(s):
  • Souza-Sobrinho, Nelson

This paper estimates the conditional volatility of the main Brazilian stock market index (Ibovespa), using traditional models of the GARCH family and models of stochastic volatility (SV). Most model selection and performance criteria suggest that both aproaches capture well Ibovespa's volatility, with a slight advantage of the EGARCH(1,1) model. Additionally, the two approaches also behave similarly in practical applications such as the calculation of Value at Risk (VaR).

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15571.

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Date of creation: 2001
Publication status: Published in Resenha BM&F 144 (2001): pp. 17-39
Handle: RePEc:pra:mprapa:15571
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